More Technical papers/Exchanges articles
Il prezzo di un derivato basato su CMS (constant maturity swap) è ampiamente determinato dal valore delle volatilità nella swaption per strike estremi. Nel presente articolo, Fabio Mercurio e Andrea Pallavicini propongono una procedura semplice per...
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not...
Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements,...
In this article, Niklas Hageback takes a practical look at the difficulties in reconciling regulatory and economic capital calculation in the discipline of operational risk.
Abstract: A majority of merchant power plants built during the last few years in the US are combined-cycle units fired by natural gas. This article discusses asset-backed trading strategies for a merchant single-block power plant, showing how unit dispatches...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Singapore, 22nd - 23rd Jul 2014
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014